Monday, November 25, 2013

With new record levels now set by the equity markets, perhaps
these heights will begin to separate various security selection methods. One example of that may be to see just how
smart is smart beta.

Our own smart beta indices conducted their monthly
rebalance last week and now head out into their 17th month of
existence. ETFG currently publishes two
Dynamic Indexes, the ETFG Quant Equity 10 (Symbol: ETFGQE10) and the ETFG Quant Equity 12 – The
Golden Dozen (Symbol: ETFGQE12) - let’s take
a closer look at the performance and composition of the ETFG
Golden Dozen.

By way of background, the ETFG Golden Dozen is comprised
of the top 12 equity ETFs as ranked by the ETF Global (Index Sponsor) Quant
model that also meet the liquidity requirement. The selection pool includes all U.S. listed,
equity ETFs, excluding levered and inverse funds, as well as, those funds with
average daily trading value of less than 5M USD. The ETFG Quant model assigns a
daily ranking to all relevant products using proprietary algorithms and
employing dozens of industry metrics to gauge how likely an equity ETF will
outperform the market in the foreseeable future. Selection is performed prior to trading on the
third Friday of each month. The
portfolio is equally weighted and reconstitutes monthly on the second trading
day following selection.

Here is the most
recent performance of the ETFG Golden Dozen:
Since its inception in July of 2012, the ETFG Golden Dozen has returned
36.65% vs. 30.837% for ACWI and 33.18% for SPY.
For the last 12 months, the ETFG Golden Dozen has returned 27.58% vs. 21.74%
for ACWI and 29.01% for SPY. Finally, in
the last 6 month period, the ETFG Golden Dozen has returned 8.83% vs. 5.18% for
ACWI and 8.43% for SPY.

For more detail, information and statistics on this Index
and other ETFG Indices, please go to ETFG Indices. We will look deeper into these indices’
composition in future posts.

Monday, November 18, 2013

There has been so much talk recently about market levels,
potential bubbles and Fed stimulus that it can be hard to maintain a
handle on where the markets may be heading.
To gain a beneficial perspective, we like to understand where the
overall investors’ feet are placing their bets – that is, to and from where within
the world of Exchange-Traded-Products has the capital been flowing recently?

Let’s start with the ETFG Fund Flows Summary for
the last three months by Geographic
Region. The most visible trend occurs right here in our backyard with a massive outflow in the month of October
of almost $5B flowing out of North America.
On the Sector side, the
outflow from Healthcare was also very significant during October at $1.2B.

Fund Flows for individual ETPs are available on the Fund
Flows tab of each ETFG Tearsheet. For a summary view of the overall marketplace
including the Top Inflows and Top Outflows for various time intervals, please
see the ETFG Fund Flows
Summary.

Top Fives: The Top five Inflows and Outflows over the
last few months can also provide some insight as to where investors see the
markets heading. In the case of the
below, it seems very interesting that SPY
was the biggest loser and GLD the
biggest gainer of Fund Flows during the last 3 months.

Friday, November 15, 2013

It has been a busy week as much of our staff have been
out participating in several Investment Conferences and as such we would
like to thank both the Structured Products Association and Bloomberg Markets for
hosting us at their respective conferences.

At the mid-month mark of November, we again find no
shortage of potential market impact stories - record equity levels, Fed Bond
Buying, Healthcare Reform, increased IPO activity – to name a handful.

Given all these looming issues out in the markets, we
wanted to close out the week with an overview of how are models currently view
and rate the overall equity ETF universe.
Below, please find a table that provides a sneak preview of that – the entire
rankings, inclusive of their underlying categories, are available at ETFG Quant.

Obtaining a quick view of
how the various Regions have performed in the most recent month is very easy by
simply checking theETFG
Heatmap. Let’s look at the performance of these geographic regions for the most
recent one month period:

Geograpic Region

1 Month*

North America

3.27%

Europe

2.02%

Developed Markets

1.69%

Global

0.49%

Global ex-US

0.26%

Frontier Markets

-0.12%

Middle East & Africa

-1.44%

Asia-Pacific

-1.45%

Emerging Markets

-3.29%

Latin America

-4.25%

* As of 11/11/13

The North America region led
the pack with a 3.27% trailing one month return, followed by Europe with a 2.02%
return and Developed Markets close behind at 1.69% for the most recent one
month period. In the most negative performance
territory were Emerging Markets (-3.29%) and Frontier
Markets (-4.25%).

By going to the ETFG
Heatmap, you can easily see both the performance and the Quant information for
all these regions. We calculate the
trailing 1 month return each day, aggregate them into various buckets by their
respective Asset Class, Region and Sector. As with most heatmaps, you can
quickly see the relative difference between categories by color and shade.
The key for the ETFG
Heatmap is located at the bottom of the page.

Friday, November 8, 2013

So the long awaited and well publicized Twitter IPO has
been priced at $26 and began to trade yesterday to a wonderful premium. There are certainly some likely candidates within the ETF Universe that should jump at the opportunity to own the newly
and publicly traded Twitter – ETF names
such as Social Media Index ETF (SOCL), Renaissance IPO ETF (IPO), US IPO Index
Fund (FPX) and DJ Internet Index Fund (FDN) to name just a few.

As a proxy for some of the potential future owners of Twitter, we examine the largest holders of another IPO of which you may have
heard, Facebook Inc. (FB). Putting aside the bungling of the IPO trading
transactions, it’s now approaching almost exactly 6 months since the largest
internet IPO was priced back on May 18, 2013.
The company priced at $38 and despite a roller coaster ride immediately
following the offering, now trades in the high 40’s.

So which ETFs own Facebook and how much – all of which is made easy via the ETFG Grey Market Report which
reflects the ETFs that hold a particular equity along with their respective Long,
Short and Absolute amounts inclusive of leverage. Here are the Top 10 Facebook holders with
that information:

Facebook Inc. (FB) - Top 10 ETF Holders (11/7/13)

Ticker

Name

Weight
(%)

AUM
(M)

Long
(M)

Short
(M)

Absolute
(M)

FPX

First Trust IPOX-100 Index Fund
ETF

10.25

239.73

24.57

0

24.57

SOCL

Global X Social Media Index ETF

9.41

96.62

9.09

0

9.09

PNQI

Powershares Nasdaq Internet
Portfolio ETF

8.27

216.32

17.89

0

17.89

FDN

First Trust DJ Internet Index Fund
ETF

6.50

1650.00

107.16

0

107.16

SKYY

First Trust ISE Cloud Computing
Index ETF

5.72

147.36

8.43

0

8.43

MTK

SPDR Morgan Stanley Technology ETF

4.44

198.95

8.83

0

8.83

FMK

First Trust Mega Cap AlphaDex ETF

3.07

9.63

0.30

0

0.30

IYW

iShares Dow Jones U.S. Technology
Index ETF

2.86

2830.00

80.86

0

80.86

RWG

Columbia RP Focused Large Cap
Growth ETF

2.44

13.97

0.34

0

0.34

QTEC

First Trust NASDAQ-100-Tech Sector
Index ETF

2.44

152.63

3.72

0

3.72

This information is available for all equities that we
track by simply entering the Ticker, pressing escape to remove the auto-fill function
and then pressing enter.

Additionally, the ETFG
S&P Grey Market Summary reflects the ownership levels (Long, Short,
Absolute & Net) as a function of their respective Market Capitalization and
their trading levels (Long, Short) as a function of the underlying
constituent’s Average Daily Trading Volume.
This report contains the information described above for all 500
components of the S&P 500, includes information for the Leverage Factor as
well as the Inverse and provides a sortable ranking for by each category.

Have a terrific weekend – all ETFG models and
applications will be updated and live on Monday but ETFG Daily Perspectives
will be off for Veteran’s Day in honor of our past and present servicemen and servicewomen!